Author: borisnand

Subject: Comparing GTR1 picks and SI Rankings

Date: 6/1/2016

Recommendations: 16

I compared the SI Rankings to GTR1 screener picks to see what discrepancies could be observed. Mostly, I was interested in checking the GTR1 screen definitions I have for errors, but this comparison also helps show which screens have similar picks in the Rankings and GTR1. I wanted one number to represent the agreement between the two lists, and chose to use the Jaccard index: Jaccard index = (number of picks common to both lists) / (number of picks in combined list) or put another way: Jaccard index = size of the intersection divided by the size of the union of the sample sets All 25 picks listed in the Rankings were used. For example, if a screen had 10 picks in the Rankings, and 8 picks in GTR1, with 4 tickers appearing in both lists, the Jaccard index is 4/14 = 29%. This does not take into account the order of the picks. There are many reasons why the two screener outputs are different. The largest discrepancies are due to AAII definition changes of the fields [SI Price/CFPS] and [SI Price--Volume M001]. Also, some SIPro fields have incorrect AAII definitions. For example, [SI Price Change 26 week] is 125 days, and [SI Return on equity 12m] is inconsistent. Overall, there is good agreement between the Rankings and GTR1, with 56% Jaccard index on average. The 12 screens affected by the AAII definition changes had an average 14% Jaccard index. The other 42 screens had an average 68% Jaccard index. Screen links are in post 262672. Comparisons were made using the May 21st and May 28th Rankings. Jaccard index: n Screen 21-May 28-May Discrepancy DefChg Helper cpiadj hgprc dsio 1 3pt_Relative_Value 4% 6% [SI Price/CFPS] 1 yes no yes yes 2 78RPM 4% 4% [SI Price/CFPS] 1 yes no yes yes 3 Advanced 23% 32% [SI Price--Volume M001] 1 changed no no no 4 ARS 72% 56% 0 no no no no 5 BI 56% 47% 0 yes yes yes yes 6 Blue_Skies 50% 33% [SI Price/CFPS] 1 changed no no no 7 Bob 92% 96% 0 yes no no yes 8 CANSLIM-26 93% 90% 0 no no no no 9 Dipstick 100% 100% 0 yes no no no 10 FCF-26 85% 72% 0 yes no no yes 11 Fried_500 92% 100% 0 changed no no no 12 Gentle_Screamers 54% 82% 0 changed no no no 13 GS_Mungo 54% 82% 0 changed no no no 14 GS_Mungo_Voom 54% 82% 0 changed no no no 15 GS_PCF 13% 13% [SI Price/CFPS] 1 changed no no no 16 GSX 56% 47% industry medians 0 yes yes yes yes 17 GSX2 52% 43% industry medians 0 no no no yes 18 High_Relative_Value 6% 4% [SI Price/CFPS] 1 yes yes yes yes 19 HighOnVolume 62% 48% moving average calculation 0 no no no no 20 Incoming_Cash 67% 72% 0 no no no no 21 Low_Mult 6% 9% [SI Price/CFPS] 1 yes yes yes yes 22 LowPS+ 35% 22% [SI % Rank-Rel Strength 4 week] 0 changed no no no 23 LowPSvol 67% 56% 0 yes yes yes yes 24 Melange 47% 67% 0 yes yes no yes 25 Microcap_Momentum 85% 79% 0 no no no no 26 Money_Flow 14% 20% [SI Price--Volume M001] 1 no no no no 27 Net-Nets_Grahamified 78% 64% 0 yes yes no yes 28 OptiMan 79% 100% 0 no no no no 29 P/S_I_Love_You 79% 92% 0 yes no yes yes 30 PIH_Naked 85% 92% 0 yes yes no no 31 POG 72% 79% 0 yes no no yes 32 POI 72% 61% 0 yes no no yes 33 Quality_Earnings 79% 72% 0 yes no no yes 34 Rabbitt 67% 56% 0 yes no no yes 35 RS-100 61% 61% 0 yes no yes yes 36 S&P_Peg 20% 19% MktCap limit 0 changed no no no 37 Shrinkage 72% 79% [SI Return on equity 12m] 0 no no no no 38 Silver_Parachute 67% 61% CEFs 0 yes no no no 39 Small_Value 75% 76% 0 no no no no 40 Steady_Growth 100% 100% 0 no no no no 41 Turnarounds 85% 79% 0 yes no no yes 42 Up_5% 0% 4% [SI Price/CFPS] 1 yes no no yes 43 Up5X3 11% 15% [SI Price/CFPS] 1 yes yes no yes 44 Value_at_the_Top 61% 61% 0 changed no no no 45 VG-Horse 67% 67% 0 no no no no 46 VG-Zebra 20% 33% [SI Price/CFPS] 1 no no no no 47 WK_Voom 3% 0% [SI Cash flow/share Q1] 1 no no no no 48 Z26saTA 18% 18% 0 no no no no 49 Zweig-26 43% 43% 0 no no no no 50 Current_Ratio_s 79% 61% 0 yes no no yes 51 Dilution_s 70% 64% 0 yes no no yes 52 HIAR_s 92% 85% 0 no no no no 53 Negative_FCF_s 61% 79% [SI Price Change 4 week] 0 yes no no yes 54 The_Mirror_s 56% 39% negative Equity 0 no no no no